Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0015
Annualized Std Dev 0.1445
Annualized Sharpe (Rf=0%) -0.0104

Row

Daily Return Statistics

Close
Observations 5586.0000
NAs 1.0000
Minimum -0.1683
Quartile 1 -0.0036
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0041
Maximum 0.1431
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0091
Skewness -1.2181
Kurtosis 46.7539

Downside Risk

Close
Semi Deviation 0.0068
Gain Deviation 0.0065
Loss Deviation 0.0081
Downside Deviation (MAR=210%) 0.0118
Downside Deviation (Rf=0%) 0.0068
Downside Deviation (0%) 0.0068
Maximum Drawdown 0.5431
Historical VaR (95%) -0.0121
Historical ES (95%) -0.0217
Modified VaR (95%) -0.0092
Modified ES (95%) -0.0092
From Trough To Depth Length To Trough Recovery
2006-01-27 2008-10-10 2012-01-09 -0.5431 1499 682 817
2012-07-11 2020-03-18 NA -0.4727 2188 1934 NA
1999-01-12 2000-03-14 2003-06-04 -0.2537 1102 294 808
2004-01-20 2004-05-20 2005-06-08 -0.1597 350 86 264
2003-06-16 2003-08-04 2003-11-12 -0.0659 106 35 71

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0 1 -0.5 0 0 0.5 0.5 -0.5 0 -1.2 -0.6 -0.6 -1.5
2000 0 -0.6 0.6 0.6 1.2 1.2 -1.2 -1.1 1.3 0 1.3 -0.4 3
2001 1.2 0.3 0.4 0.2 0.3 0.9 0 0.3 0.2 0.2 0.5 1.1 5.7
2002 0.9 -0.5 0.5 0.9 0 0.3 0 0.4 -0.2 0.1 0.7 0.3 3.4
2003 0.2 0 -0.2 0.7 0.3 0.9 0.3 0 -0.1 0.6 -0.1 0.5 3.1
2004 0.5 0 -0.2 -0.6 0 0.6 0.5 0.4 0 1.3 0.1 0.7 3.4
2005 0.4 -0.3 -2.4 0.4 0 0.6 0.1 1.3 0.4 0.4 0.6 0 1.5
2006 -0.3 0.1 0.2 0.3 1.2 -0.1 -0.4 0.8 0.5 0.2 0.2 0.1 2.7
2007 -0.3 -0.5 0.1 0.9 -1 -0.3 -0.6 -0.4 -0.3 -0.7 -0.3 0.8 -2.5
2008 0.6 -1.7 1.1 -0.7 0.4 0.6 0.5 0.3 2.2 -1.2 -0.1 5.4 7.5
2009 0.4 0.4 -0.2 1.7 0.3 -0.5 0.6 1.1 0.1 -0.5 1 -0.2 4.3
2010 0.2 1.3 0.2 0 0.4 0.5 0.5 0 0.3 0.7 -1.6 2.2 4.9
2011 0.8 -0.6 0 0.4 0.1 0.1 1.6 -0.2 0.2 0.1 0.4 0.2 3
2012 0.1 0.8 -0.1 -0.2 0.3 0.7 0.4 -0.2 0.1 -0.1 0.3 -0.5 1.6
2013 -0.7 -0.3 1.3 -0.7 -1.2 -0.1 -0.6 -0.2 0.1 -0.6 0.2 0.9 -2.1
2014 0.2 -0.1 -0.5 0.2 0.3 0.8 0.1 -0.6 0.3 -0.1 -0.3 0.4 0.7
2015 0.9 0.6 -0.6 -0.7 -0.2 0.7 0.1 0 0.6 0.8 0 0.2 2.4
2016 -0.2 1 -0.1 0.1 0.7 0.6 -0.2 0.4 -0.4 0.2 -0.7 0.2 1.5
2017 0.2 -1.6 0.3 0.6 -0.2 0.1 0.3 -0.2 0.2 -0.3 -0.5 0.1 -0.9
2018 -0.1 -0.1 0.2 0.2 0.1 0.2 -0.2 0.3 0.1 0.5 0.1 0.7 1.9
2019 0.6 -0.1 0.4 0 -0.2 0.2 1.7 0 -0.1 -0.4 2.2 0 4.3
2020 0 -2.1 -2.6 0.4 1.1 0 0.3 0.4 -0.2 0.1 0.6 0.6 -1.6
2021 -0.9 -0.3 1.8 NA NA NA NA NA NA NA NA NA 0.6

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart